We consider the Credit Value Adjustment (CVA) for financial institutions to manage counterparty risk in derivative transactions. CVA is the market value adjustment of derivative price based on the creditworthiness of company in the case of default. The new method for CVA, which is proposed by Hull and White[1], is based on the theory of Continuous CAPM and hedging portfolios approach. We evaluate the effect of correlation of counter party default and the Bank default probability in simulation. The distribution is assumed to be bivariate normal distribution and bivariate t- distribution for default correlation in European type derivatives. We compare capital requirement for bank in calculation by only CVA (Basel III) and by both CVA and DVA (IFRS).